Approximate wavelet-based simulation of long memory processes

DOI10.1080/0094965042000212916MaRDI QIDQ4675839zbMATH OpenOpenAlexFDO

Authors Peter F. Craigmile

Publication date 6 May 2005

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0094965042000212916

zbMATH Keywords

discrete wavelet transformlong memory processesapproximate simulationcircular autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical methods for wavelets (65T60)

Recommendations

• Long-memory wavelet models
• A wavelet lifting approach to long-memory estimation
• Inference of a Generalized Long Memory Process in the Wavelet Domain
• Wavelet estimation of the memory parameter for long range dependent random fields
• Time-varying long memory parameter estimation based on wavelets
• Estimation of time-varying long memory parameter using wavelet method
• An Approximate Wavelet MLE of Short- and Long-Memory Parameters
• A multiplicative wavelet-based model for simulation of a random process

Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• scientific article; zbMATH DE number 777603 (Why is no real title available?)
• A theory for multiresolution signal decomposition: the wavelet representation
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An efficient taper for potentially overdifferenced long-memory time series
• Asymptotic Decorrelation of Between-Scale Wavelet Coefficients
• Compactly supported correlation functions
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Fitting long-memory models by generalized linear regression
• Fractional differencing
• Simple tests for the validity of correlation function models on the circle
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• Slowly Decaying Correlations, Testing Normality, Nuisance Parameters
• Ten Lectures on Wavelets
• Tests for Hurst effect
• Time series: theory and methods.
• Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes

Cited in

(7)

• Improved generator of long-memory processes
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• Long-memory wavelet models
• Statistical challenges in microrheology
• Adaptive wavelet decompositions of stationary time series
• A wavelet characterization of continuous-time periodically correlated processes with application to simulation
• On the wavelet-based simulation of anomalous diffusion

This page was built for publication: Approximate wavelet-based simulation of long memory processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4675839)